I believe the paper is:
Angrist, Joshua D. and Alan B. Krueger (1995). "Split-Sample
Instrumental Variables
Estimates of the Returns to Schooling." Journal of Business and
Economic Statistics 13:2, 225-235.
The working paper version can be obtained at:
http://www.irs.princeton.edu/pubs/pdfs/320.pdf
Scott
----- Original Message -----
From: "Millimet, Daniel" <[email protected]>
Date: Wednesday, July 20, 2005 11:40 am
Subject: st: RE: IV with incomplete data on endog var
> it seems that a two-step procedure where you form out of sample
> predictions of the endogenous var and then do the 2nd stage with
> the predicted regressor would yield valid estimates and that a
> bootstrap procedure would yield valid inference. this sounds
> related to some papers by angrist on a procedure called split-
> sample IV. i think the paper i am thinking of was published in
> journal of applied econometrics. if you can't track it down, feel
> free to email me and i can look for it.
>
> dann
>
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